本文選題：量化交易 + 海龜交易系統(tǒng)��； 參考：《河北工業(yè)大學(xué)》2013年碩士論文

【摘要】：量化交易經(jīng)過(guò)了數(shù)十年的快速發(fā)展，已經(jīng)成為全球金融市場(chǎng)中專業(yè)投資者的主要交易模式。隨著中國(guó)證券市場(chǎng)金融產(chǎn)品的創(chuàng)新、與國(guó)際金融市場(chǎng)的加速接軌，量化投資的種子已經(jīng)開始在中國(guó)證券市場(chǎng)發(fā)芽并茁壯成長(zhǎng)。股指期貨、ETF基金、融資融券、轉(zhuǎn)融通等創(chuàng)新產(chǎn)品的推出將使中國(guó)證券市場(chǎng)交易活動(dòng)和投資越來(lái)越頻繁，可以預(yù)見量化交易將給中國(guó)證券行業(yè)帶來(lái)巨大的發(fā)展空間。海龜交易策略曾經(jīng)在美國(guó)期貨市場(chǎng)取得驚人的回報(bào)，，其交易策略后來(lái)被免費(fèi)公之于眾，海龜交易策略其實(shí)是一種中長(zhǎng)期的趨勢(shì)跟蹤的技術(shù)分析策略。本文利用現(xiàn)有程序化交易軟件編寫了海龜交易策略的量化模型，并借助滬深300股指期貨進(jìn)行模型檢驗(yàn)。通過(guò)對(duì)量化交易的初步研究，使用技術(shù)分析方法和量化投資分析方法相結(jié)合的投資策略，使傳統(tǒng)的技術(shù)分析手段與先進(jìn)的信息技術(shù)手段相結(jié)合，從而使傳統(tǒng)的投資分析方法更具活力。 本文在前人研究的基礎(chǔ)上，首先分析中國(guó)證券市場(chǎng)的現(xiàn)狀，通過(guò)對(duì)投資分析理論的研究包括技術(shù)分析方法、基本面分析方法和量化投資分析方法的研究，并對(duì)這些方法進(jìn)行比較分析。再根據(jù)中國(guó)證券市場(chǎng)的本質(zhì)和特點(diǎn)，選擇曾經(jīng)在美國(guó)市場(chǎng)大獲成功的趨勢(shì)跟蹤領(lǐng)域中的海龜交易法則作為交易策略，建立量化交易模型。最后，用滬深300指數(shù)的歷史數(shù)據(jù)檢驗(yàn)海龜策略量化交易的效果，通過(guò)對(duì)交易結(jié)果的性能和風(fēng)險(xiǎn)分析，表明海龜交易量化模型完全可以在中國(guó)證券市場(chǎng)上獲得良好的應(yīng)用效果。
[Abstract]:After decades of rapid development, quantitative trading has become a major trading model for professional investors in global financial markets. With the innovation of financial products in China's securities market and the accelerating integration with the international financial market, the seeds of quantitative investment have begun to sprout and thrive in China's securities market. The introduction of stock index futures ETF funds, margin financing, conversion and other innovative products will make China's securities market trading activities and investment more and more frequent. It can be predicted that quantitative trading will bring huge development space to China's securities industry. The Turtle trading strategy, which has made astonishing returns on the U.S. futures market, was later made public for free. It is actually a medium- and long-term trend-following technical analysis strategy. In this paper, the quantitative model of Turtle trading strategy is compiled by using the existing program trading software, and the model test is carried out with the help of Shanghai and Shenzhen 300 stock index futures. Through the preliminary research on quantitative trading, the investment strategy of combining the technology analysis method and the quantitative investment analysis method is used to combine the traditional technology analysis means with the advanced information technology means. Thus, the traditional investment analysis method is more dynamic. On the basis of previous studies, this paper first analyzes the current situation of China's securities market, through the research of investment analysis theory, including technical analysis method, fundamental analysis method and quantitative investment analysis method. These methods are compared and analyzed. According to the nature and characteristics of China's securities market, the Turtle trading rules in the trend tracking field, which has been a great success in the American market, are selected as trading strategies to establish a quantitative trading model. Finally, using the historical data of CSI 300 index to test the effect of Turtle strategy quantification trading, through the performance and risk analysis of the trading results, it is shown that the Turtle trading quantification model can obtain good application effect in China's securities market.
【學(xué)位授予單位】：河北工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1906314